Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility (Energy Economics 2007)

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When last checked on July 16, 2019, a replication of this study was forthcoming in the journal Energy Economics.



Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Benjamin M. Tabak, Daniel O. Cajueiro Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility Energy Economics 2007 1 28-36 - Long-range dependence, Oil prices, Volatility

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - - - - - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Ladislav Kristoufek Are the crude oil markets really becoming more efficient over time? Some new evidence Energy Economics forthcoming - - G14, Q40 Crude oil, Efficient market hypothesis, Forecasting, Long-range dependence, Replication 4 - (new methods & data) 1 - successful - 0 - no -

References

DOI: 10.1016/j.eneco.2006.06.007 IDEAS: a/eee/eneeco/v29y2007i1p28-36.html EconPapers: RePEc:eee:eneeco:v:29:y:2007:i:1:p:28-36


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